Hell, on. Most of us overclock on air. Did you know i5 can overclock itself to a max of 3.2ghz from 2.66ghz? It's called Turbo mode. Leave it on in bios. I'm letting it o/c to 2.8Ghz. My temp under load is quite high. That bottlenecks my o/c.
If you want a 3rd-party cooler, this:
COOLER MASTER Hyper 212 Plus Intel Core i5 & Intel Core i7 compatible RR-B10-212P-G1 120mm "heatpipe direct contact" Long life sleeve CPU Cooler - Retail
Def need the HSF suggested as i5 will not OC any appreciable amount w/o voltage increases. There's a technical explanation, but it's mainly due to the on DIE PIE Express lanes. (BTW Intel could totally spent 10 minutes to fix this issue so we could OC w/o increasing voltages...lazy bums)
I think the limit you wanna go with Turboboost on is 3.2 ghz.
W/o it on you can push up to 4.0ghz.
Beyond that, don't go there if you aren't sure your board isn't using Foxconn sockets.
Also, if it's just for gaming, y bother going higher? The biggest bottleneck in modern games is the GPU not CPU. In benchmarking CPU's reviewers turn off AA/AF and don't use max settings in order to artificially induce a CPU bottleneck.
In real life you wouldn't do that.
Here's a i5 2.66 to 3.8 ghz overclock givign 0 FPS gain. This is with AA off too. There'd be even less of a change with it on.